We use the data set form “Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets” Econometrica, 84 (3): 985-1046. The data can be obtained from the Econometric Society website: https://www.econometricsociety.org/publications/econometrica/browse/2016/05/01/time-varying-risk-premium-large-cross-sectional-equity-data

We use the following four data sets available from the above website:
1.	Wspace_Fact.mat
2.	Wspace_25FF.mat
3.	Wspace_44Indu.mat
4.	Wspace_CRSPCMST_ret.mat
5.	RiskFree.mat

Locate these five data files in the same folder as our _code.r file. To switch between data sets modify the line for R = *** as R = R_25FF, R = R_44IN, or R = R_ALL. 
